This file can be found in MSSQL subfolder of the DB Audit Management console (C:\Program Files\DB Audit 4\MSSQL). There are 2 additional subfolders containing 3 versions of xp_dbaudit.dll files with for different versions of SQL Server, 32-bit, 64-bit for Intel Itanium processors and 64-bit for Intel and AMD x86 based processors. Just copy the right version to the BINN folder of your SQL Server instance.